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Long Horizons, High Risk Aversion, and EndogeneousSpreads

Guasoni, Paolo; Muhle-Karbe, Johannes - National Centre of Competence in Research - Financial … - 2011

For an investor with constant absolute risk aversion and a long horizon, who trades in amarket with constant investment opportunities and small proportional transaction costs, weobtain explicitly the optimal investment policy, its implied welfare, liquidity premium, andtrading volume. We...

Persistent link: https://www.econbiz.de/10009418986

Transaction Costs, Trading Volume, and the Liquidity Premium

Gerhold, Stefan; Guasoni, Paolo; Schachermayer, Walter; … - National Centre of Competence in Research - Financial … - 2011

In a market with one safe and one risky asset, an investor with a long horizon, constantinvestment opportunities, and constant relative risk aversion trades with small proportionaltransaction costs. We derive explicit formulas for the optimal investment policy, its impliedwelfare, liquidity...

Persistent link: https://www.econbiz.de/10009418987

Market Belief, Trading Volume, Price Volatility, andLiquidity

Wang, Songtao - Swiss National Centre of Competence in Research North … - 2010

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock price is linearlyand positively correlated with market...

Persistent link: https://www.econbiz.de/10009305076

The impact of heterogeneous beliefs on trading volume

Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Persistent link: https://www.econbiz.de/10005857971

Wich currency is best for business in a small country?

Dilger, Alexander - In: Journal of contemporary economic and business issues 4 (2017) 1, pp. 55-64

The optimal currency for a country is an important topic. While it is difficult to identify the best option overall …: Which currency is best for business in a small country? Several kinds of currencies are discussed and three criteria that … in a small country seems to be a currency board with a fixed exchange rate that can be adapted in case of a crisis. A …

Persistent link: https://www.econbiz.de/10011695417

Expectations in financial markets : a survey data approach

Ruelke, Jan-Christoph - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003849266

Essays on frictional financial markets

Somogyi, Fabricius - 2022

market participants are strategic about their trading costs. Hence, they avoid directly transacting in non-dollar currency … the US dollar as a vehicle currency. That is, market participants first exchange a non-dollar currency into US dollars …, and then trade those US dollars for their target currency. I derive a set of theoretical conditions for currency dominance …

Persistent link: https://www.econbiz.de/10013450805

Regulatory Imitation Went Wrong : A Case of Indian IPO Markets

Rathod, Sangeeta S. - 2010

The paper looks at bookbuilding mechanism as it existed in India from the time of creation of regulatory structure facilitating book-building to September 2005. The author has proprietory data of about 100 books and allocations schedules as well as flipping behaviour of the QIBs which were...

Persistent link: https://www.econbiz.de/10013137498

An Alternative Perspective on the Bull Run in Indian Markets

Kakani, Ram Kumar - 2007

This paper probes into the recent bull run of the Indian equity markets. Using capital market data and facts it is found that the recent equity markets bull run is a shallow one, especially during the last two years. It is observed that this shallowness is due to - (a) Index rally being driven...

Persistent link: https://www.econbiz.de/10012730033

Islamic Finance and the Shari'ah : The Dow Jones Fatwa and Permissible Variance as Studies in Letheanism and Legal Change

McMillen, Michael J. T. - 2014

Persistent link: https://www.econbiz.de/10013052087